By default when your export a layout with XREFs on it those are exported seperately (since they were imported seperately)

However when working in collaboration with another firm this can be detrimental as you will want each export to be complete without any external files

The easiest way to do this is to choose a different translator that is already set up to do this like 03 For As is OutputWhen publishing you will need to set this translator as your default translator so that it is used when publishing:

To get to the DXF-DWG Translation Setup go to File>File Special>DXF-DWG Translation Setup

If you want to create your own translator you can control this particular setting within Save Options: